本研究探討我國上市公司使用衍生性金融商品情形與公司價值之縱橫平滑移轉效果，運用Gonza’lez, Teräsvirta and Dijk（2004, 2005）之縱橫平滑移轉迴歸模型，驗證衍生性金融商品對公司價值是否存在縱橫平滑移轉效果。並進一步對公司價值受控制變數之影響進行評估與衡量。
    實證結果發現，使用衍生性金融商品比率對公司價值在衍生性金融商品比率為12.7059%時產生一轉換區間，確實存在縱橫平滑移轉效果。控制變數對公司價值之影響方面，使用衍生性金融商品較多的上市公司，其公司增加負債，可以提升公司價值，且公司規模對於公司價值的影響降低。使用衍生性金融商品相對較少之上市公司，公司負債比率的高低對於公司價值較無影響，但若其公司規模越大，則對公司價值較為不利。而不論衍生性金融商品使用多寡，董監事持股股經理人持股對於公司價值影響較小，而外資持股的比率越高，其公司價值也越高。故建議上市公司應視不同之衍生性金融商品使用情況，擬訂妥適之管制機制或經營方針，以求取最佳化策略。

This study is to investigate the panel smooth transition effect associated between derivatives and firm value. Utilizing the panel smooth transition regression model developed by Gonza’lez, Teräsvirta and Dijk (2004-2005), we test whether the derivatives use rate (hedge ration) can cause panel smooth transition effect on firm value. 
   The results showed that a transition period is generated when the hedge ratio falls at 12.7059%. Therefore, hedge ration does affect Tobin Q of firms, and reveal the characteristic of panel smooth transition effect.
   We also examine the influence of controlling variables on firm value. For the firms with hight hedge ration, higher debt rate results in increase inTobin Q. On the contrary, it’s reduce of firm size .  
   Regardless of high or low hedge ration, more institution companies have the firms’ stocks ,the great Tobin Q they have. Therefore, our studies suggest that firms’ managers adopt appropriate control machinery or operating strategies according to different  hedge ration, in order to come up with the best policy.

目錄
第一章	緒論 1
第一節	研究背景與動機 1
第二節	研究目的	5
第三節	研究架構	5
第二章	文獻探討	7
第一節	控制變數相關文獻探討 7
第二節	避險與公司價值 12
第三節	衍生性金融商品 12
第三章	研究方法	21
第一節	樣本取樣與資料來源	21
第二節	縱橫單根檢定 23
第三節	縱橫平滑移轉迴歸模型 25
第四節	縱橫平滑移轉迴歸模型之設定 29
第五節	研究樣本定義 32
第四章	實證結果 35
第一節　各變數之基本統計分析 35
第二節　縱橫單根檢定之實證結果 40
第三節　縱橫平滑移轉模型之實證結果 41
第五章 結論 46
參考文獻	48
國內文獻	48
國外文獻	50
 
表目錄
表4-3-1. 	34號公報實施前後比較表	18
表3-1-1. 樣本篩選情形	22
表3-1-2. 本研究選取之產業(上市公司)樣本家數	22
表4-1-1. 	各產業上市公司使用衍生性商品比率	36
表4-1-2. 	產業變數橫斷面基本統計量	37
表4-1-3. 	產業變數橫斷面基本統計量	38
表4-1-4. 	各變數之縱斷面基本統計量	39
表4-2-1 	縱橫單根檢定結果	40
表4-3-1. 	避險比率對公司經營績效之同質性檢定	42
表4-3-2. 	避險比率對公司經營績效之轉換區間個數檢定	42
表4-3-3. 	避險比率對公司經營績效之轉換區間個數檢定	42
表4-3-4  	避險比率對Tobin’s Q之模型估計結果	43
表4-3-5  	避險比率對Tobin’s Q模型中解釋變數之影響	43

圖目錄
圖1-1-1 	研究流程圖	6
圖2-1-1  董監事持股與Tobin Q的非單調線性關係	9
圖2-3-1. 	各項目交易量百分比	16
圖3-2-1  m=1之轉換模型	27
圖3-2-2  m=2之轉換模型	28
圖4-3-1 	避險比率對公司價值之轉換函數	45

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